Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0093 |
| Annualized Std Dev | 0.1872 |
| Annualized Sharpe (Rf=0%) | 0.0494 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1588 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0050 |
| Maximum | 0.2067 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.1499 |
| Kurtosis | 36.3580 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.5242 |
| Historical VaR (95%) | -0.0164 |
| Historical ES (95%) | -0.0296 |
| Modified VaR (95%) | -0.0111 |
| Modified ES (95%) | -0.0111 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-15 | 2008-11-20 | 2010-08-20 | -0.5242 | 926 | 487 | 439 |
| 2013-01-25 | 2020-03-18 | NA | -0.5000 | 2053 | 1799 | NA |
| 1999-04-26 | 2000-11-30 | 2003-05-05 | -0.2374 | 1012 | 407 | 605 |
| 2004-01-14 | 2004-05-10 | 2005-02-11 | -0.2270 | 273 | 81 | 192 |
| 2006-03-02 | 2006-06-28 | 2006-12-13 | -0.2083 | 200 | 83 | 117 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.9 | -0.9 | -1.7 | -1.5 | 1.5 | 0 | 0 | -0.9 | -0.9 | 0.9 | -0.9 | 0 | -5 |
| 2000 | 1.8 | 0 | 0.8 | 0.9 | 2.7 | -0.9 | 0.8 | -0.8 | 0 | 0 | 0 | 0.9 | 6.4 |
| 2001 | -0.4 | -2.4 | 1 | 1.3 | -0.3 | 0.1 | 0.4 | 0.1 | -0.3 | 0 | -0.1 | 0.5 | 0 |
| 2002 | 0.4 | 0 | -0.9 | 0.1 | 0.5 | 0.4 | 1 | 1 | 0.1 | 1 | -0.7 | 0.9 | 4 |
| 2003 | 0.3 | 0.1 | 0.1 | 0.6 | -0.4 | 0.3 | -0.9 | -0.1 | 0.5 | 0.2 | -0.1 | 0.8 | 1.3 |
| 2004 | 0.4 | -1 | 0 | -0.7 | -0.2 | 0.8 | 0.6 | 0.1 | -0.1 | -0.1 | 0 | 0.2 | 0 |
| 2005 | 0.1 | -0.3 | 1.5 | 0.7 | 0 | 0.6 | -0.2 | 1.3 | -0.6 | 1.2 | 1.3 | 3.2 | 9.2 |
| 2006 | -0.1 | 0.5 | -1 | -0.7 | 1.8 | 0.1 | -2 | -0.1 | 0.1 | 0.1 | -0.2 | -0.2 | -1.7 |
| 2007 | 1.9 | -2.2 | 0.3 | 0.6 | 1 | 0 | -0.8 | 1.9 | 1 | -0.4 | 0.8 | 0 | 4.1 |
| 2008 | 0.4 | -0.5 | 0.4 | 0.9 | 0.1 | 0 | 0.2 | -0.1 | 6.4 | 1.4 | -4 | 1.9 | 6.9 |
| 2009 | 1.2 | -3.4 | 0.5 | -0.4 | 2.4 | 0.7 | 0.3 | -0.3 | -0.3 | -2.4 | 1.7 | -0.1 | -0.3 |
| 2010 | 1.4 | 0.6 | 0.7 | -0.8 | -0.5 | -0.1 | -0.4 | 0.4 | 1.2 | 0 | 0 | 1.5 | 4 |
| 2011 | 0.6 | -0.3 | 1.1 | -0.1 | -0.2 | 0.2 | 2 | -0.1 | -2.9 | 0 | -0.2 | 0.3 | 0.3 |
| 2012 | 1.1 | 0.8 | -0.1 | 0.5 | -0.1 | 0.5 | 0.7 | 0.6 | 0.7 | 1.5 | 0.1 | 1.7 | 8.4 |
| 2013 | -0.5 | 0.3 | 0.1 | 0.7 | -3.5 | 0.9 | -0.2 | -0.2 | 0 | 0.4 | 0.2 | -0.8 | -2.6 |
| 2014 | -0.7 | -0.3 | -0.2 | 0.2 | 0.2 | 0.4 | -0.1 | 0.4 | -0.4 | 0 | -0.4 | -0.2 | -1.1 |
| 2015 | -0.7 | 0.4 | 0 | -0.1 | 0.6 | -0.2 | 1.1 | 0 | -0.8 | 0 | 0.6 | 0.1 | 1.1 |
| 2016 | -0.6 | 1.5 | 0.3 | 0.1 | 0.4 | 0.1 | -0.1 | -0.1 | 0.6 | -0.5 | -1.1 | 0.4 | 1.1 |
| 2017 | 0.2 | -0.2 | -0.4 | 0.5 | 0.3 | -0.3 | -0.2 | 0.5 | 0 | 0.2 | 0 | -0.2 | 0.4 |
| 2018 | 0.2 | -1.1 | 0.5 | 0.1 | 0.1 | 0.3 | -0.4 | 0 | 0.2 | 0.6 | 0.2 | -0.2 | 0.5 |
| 2019 | 0.1 | 0.3 | 0.8 | 0 | -0.4 | 0.4 | 0.3 | -0.2 | 0 | 0.7 | 0.2 | 0.3 | 2.6 |
| 2020 | -0.3 | -1.2 | -2.7 | -0.9 | 1.2 | 0.8 | 0.6 | 0.3 | 0.1 | -0.1 | 0.4 | 0.7 | -1.2 |
| 2021 | -0.1 | 0.8 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 7.31 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 7.5 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 8 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 7.62 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 7.81 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 7.31 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
